Corrected Kriging Update Formulae for Batch-Sequential Data Assimilation
Recently, a lot of effort has been spent in the efficient computation of kriging predictors when observations are assimilated sequentially. In particular, kriging update formulae enabling significant computational savings were derived. Taking advantage of the previous kriging mean and variance computations helps avoiding a costly matrix inversion when adding one observation to the \(n\) already available ones. In addition to traditional update formulae taking into account a single new observation, Emery (2009) proposed formulae for the batch-sequential case, i.e. when \(k\,>\,1\) new observations are simultaneously assimilated. However, the kriging variance and covariance formulae given in Emery (2009) for the batch-sequential case are not correct. In this paper, we fix this issue and establish correct expressions for updated kriging variances and covariances when assimilating observations in parallel. An application in sequential conditional simulation finally shows that coupling update and residual substitution approaches may enable significant speed-ups.